Given that it's a bit hard to run user programs when no one's logged in, the alternative that comes to mind is hardware.

ie. Since most display adapters these days have two or more outputs, plug one into a recording device, (eg. HDMI, Composite, SVHS, etc), and configure your display adapter to clone the primary display.

Virtual machine is definitely the way to go. I used a VM to document how to build an NT4 domain controller for a remote location that had no real techs; once it was up I could connect and do the rest of what was needed, but they had to get the DC part right during the build.

You may also be able to take screenshots (or record) from another computer if you have some remote assistance software installed on the target computer.For example at my workplace they have Microsoft's configuration manager client. Unlike version 2007, version 2012 allows to interact with a remote computer which is at the login screen.I suppose it would also work with free software such as VNC, TeamViewer and the like, as long as they can run as a service (and as such don't terminate when the session is closed).